Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 6 6 6
Score 0.8 1.07 0.16
Market Cap (Millions USD) 11309.56 10935.04 10451.54
Predicted Beta 0.8 0.82 0.81
Idiosyncratic Volatility 1.46 1.91 2.03

Annualized return and volatility

IWS
Annualized Return 0.0931
Annualized Std Dev 0.1927
Annualized Sharpe (Rf=0%) 0.4830

Row

Daily Return Statistics

IWS
Observations 4707.0000
NAs 407.0000
Minimum -0.0983
Quartile 1 -0.0046
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0061
Maximum 0.0881
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0121
Skewness -0.3696
Kurtosis 8.0718

Downside Risk

IWS
Semi Deviation 0.0089
Gain Deviation 0.0085
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.6240
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0358
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-09-06 -0.6240 1350 455 895
2002-04-11 2002-10-09 2003-09-02 -0.3036 360 129 231
2018-09-24 2018-12-24 2019-07-05 -0.2076 199 65 134
2015-03-23 2016-02-11 2016-06-07 -0.1903 310 229 81
2001-08-06 2001-09-21 2002-01-04 -0.1720 105 31 74

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWS
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 -0.7 0.7 0.0 0.0 0.0
2002 -0.8 1.2 -0.2 0.2 0.0 -0.6 -1.4 0.0 0.0 1.8 0.0 0.0 0.0
2003 0.0 0.0 0.9 -0.4 0.0 0.1 -1.4 0.0 1.6 0.0 1.2 0.0 1.9
2004 0.0 0.9 0.7 0.0 0.0 -1.2 0.0 0.4 1.6 0.3 1.0 0.0 3.7
2005 0.9 0.8 0.2 0.0 0.9 0.7 0.0 0.3 0.0 -0.2 1.3 0.0 5.0
2006 0.3 0.8 0.0 -0.4 1.1 0.0 -0.3 0.3 0.0 -0.7 -0.2 0.0 1.1
2007 0.9 -0.3 0.0 0.2 0.7 0.0 0.7 0.0 1.3 -2.5 0.0 0.0 0.7
2008 2.3 0.0 3.7 1.7 0.0 0.0 -0.3 0.0 -0.1 0.0 -9.8 0.0 -3.1
2009 0.0 0.0 1.8 -0.2 3.1 0.9 0.0 -2.6 -3.4 0.0 1.2 0.0 0.7
2010 1.7 1.8 1.2 0.0 -2.6 -0.6 0.0 3.3 0.6 0.0 2.0 0.0 7.4
2011 1.4 -1.8 0.7 0.0 -2.4 1.7 -0.9 -1.5 0.0 -3.2 -0.3 0.0 -6.1
2012 1.4 0.7 0.0 0.7 -2.8 0.0 -0.4 0.0 -0.1 1.6 0.0 0.0 1.1
2013 0.8 0.0 -0.5 -1.2 0.0 0.8 1.6 0.0 1.0 0.2 0.0 0.0 2.7
2014 0.0 0.0 0.7 0.2 0.0 0.3 -0.2 0.0 -1.1 0.0 -0.9 0.0 -1.0
2015 0.0 0.0 -0.3 0.9 0.2 0.5 0.0 -3.0 -0.1 0.0 1.0 0.0 -0.9
2016 -0.1 2.0 0.3 0.0 0.2 0.3 -0.6 -0.2 0.0 -1.0 -0.2 0.0 0.6
2017 -0.3 1.3 0.0 0.1 1.2 0.0 0.1 0.5 0.0 0.1 0.0 0.0 3.0
2018 -0.2 -0.6 0.0 -0.1 0.6 0.0 -0.7 0.0 -0.2 1.6 0.0 0.0 0.3
2019 0.2 0.6 1.2 -1.0 0.0 0.6 -1.4 0.0 -1.7 1.3 0.0 0.1 -0.2

Row

Rolling Performance Chart

Snail Trail Chart